Essays on asset trading

T. Dieler

Research output: ThesisDoctoral ThesisScientific

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Abstract

The overreaching methodology of my Ph.D. thesis is to substitute noise traders with rational traders. I do so by considering liquidity asymmetry between informed trader and uninformed traders. Liquidity asymmetry creates a motive for trade. Under this new setup, I study the impact of asset trade on the real economy, represented by a firm with an investment opportunity, in chapter 1 ("Efficient Asset Trade - A Model with Asymmetric Information and Asymmetric Liquidity Needs"). I find conditions for which asset trade leads to inefficient investment. Chapter 2 ("(In)Efficient Asset Trade and a Rationale for a Tobin Tax") characterizes a tax which can restore efficient investment. In chapter 3, I show that finitely repeated trade, as in Kyle (1985) and Ostrovsky (2012), does not necessarily lead to information revelation if traders are fully rational.
Original languageEnglish
QualificationJoint degree
Awarding Institution
  • Tilburg University
  • University of Bologna
Supervisors/Advisors
  • Calzolari, G., Promotor, External person
  • Renneboog, Luc, Promotor
  • Castiglionesi, Fabio, Co-promotor
Award date1 Dec 2014
Place of PublicationTilburg
Publisher
Print ISBNs9789056684150
Publication statusPublished - 1 Dec 2014

Fingerprint

Assets
Traders
Liquidity
Asymmetry
Investment opportunities
Noise traders
Asymmetric information
Rationale
Information revelation
Tax
Substitute
Methodology
Tobin tax
Informed traders

Cite this

Dieler, T. (2014). Essays on asset trading. Tilburg: CentER, Center for Economic Research.
Dieler, T.. / Essays on asset trading. Tilburg : CentER, Center for Economic Research, 2014. 88 p.
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Dieler, T 2014, 'Essays on asset trading', Joint degree, Tilburg University, Tilburg.

Essays on asset trading. / Dieler, T.

Tilburg : CentER, Center for Economic Research, 2014. 88 p.

Research output: ThesisDoctoral ThesisScientific

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Dieler T. Essays on asset trading. Tilburg: CentER, Center for Economic Research, 2014. 88 p. (CentER Dissertation Series).